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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic
Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18
period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging … information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management. …
Persistent link: https://www.econbiz.de/10012317582
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Intraday volatility, trading volume and trading intensity in the interbank market e-MID
Engler, Markus; Jeleskovic, Vahidin - 2016
We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...
Persistent link: https://www.econbiz.de/10011578147
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What is Missing in Asset-Pricing Factor Models?
Dello Preite, Massimo; Uppal, Raman; Zaffaroni, Paolo; … - 2022
Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors considered in the literature (``factor zoo''), there is still a sizable pricing error. We show that what is missing in asset-pricing factor models is not...
Persistent link: https://www.econbiz.de/10013405571
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Sparse Multivariate Modeling for Stock Returns Predictability
Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021
We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Estimation risk and shrinkage in vast-dimensional fundamental factor models
Vlodrop, Andries C. van; Lucas, André - 2018
We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...
Persistent link: https://www.econbiz.de/10011949129
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - 2013
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …
Persistent link: https://www.econbiz.de/10010201171
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …
Persistent link: https://www.econbiz.de/10010292792
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A Stochastic Spread & Co-integration Approach to Pairs Trading in a Regime- Switching Environment
Findsen, Frederik; Pedersen, Jens - 2022
This paper applies two statistical arbitrage algorithms on the U.S. equities market, using daily historical prices from January 2005 to March 2012. The algorithms construct portfolios using two different frameworks, namely, the Vasicek model and co-integration approach, with a Markov...
Persistent link: https://www.econbiz.de/10013405706